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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

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  • Chiarella, Carl
  • El-Hassan, Nadima
  • Kucera, Adam

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  • Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
    • Handle: RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1387-1424
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    References listed on IDEAS

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    1. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    2. Jing-Zhi Huang & Marti G. Subrahmanyam & G. George Yu, 1999. "Pricing And Hedging American Options: A Recursive Integration Method," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 8, pages 219-239, World Scientific Publishing Co. Pte. Ltd..
    3. Eydeland, A, 1994. "A Fast Algorithm for Computing Integrals in Function Spaces: Financial Applications," Computational Economics, Springer;Society for Computational Economics, vol. 7(4), pages 277-285.
    4. Eydeland, Alexander, 1996. "A Spectral Algorithm for Pricing Interest Rate Options," Computational Economics, Springer;Society for Computational Economics, vol. 9(1), pages 19-36, February.
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